Import Rhino into Blender - problem sculpting
Firstly, welcome to the Blender world.

Sculpting works on the vertices mainly, means the density of the mesh needs to be high enough, while you also have another problem due to the object import.
I would guess that the object you have is build of split parts, means the caps and the cylinder are not really merged.
To check this you can go in edit mode and select a vertex of the cap, pressing L should then only select the cap. Means the cap is a loose geometry and not connected to the rest.

Solution of the first part needed:


Select the object and go in Edit Mode
Press A to select the entire objects elements
Press Alt+M "by Distance" to merge all vertices that are sharing the same location, essentially merging the caps with the cylinder part.


Now to the sculpting part, you have 2 options:


Using Dyntopo, which will allow you to set a certain density that will be dynamically used to sculpt and change the mesh while you sculpt. Easy to use on low density meshes. The lower "Detail Size" you set, (shown in the picture below) the finer mesh will be generated at the parts you sculpt, causing the mesh to gain a lot more vertices/density.

Increase the density of the mesh manually, either by using a subdivision surface modifier, which can casue problems without control-loops, or by using the "Subdivide" function in the context menu by RMB in edit mode.


I would recommend to try the dyntopo method first to see how it works out, as the other option includes a lot more work to be able to start sculpting.

And finally regarding the back to rhino idea, i do not know if rhino can work with the resulting high density mesh. As far as i can remember back (long time) Rhino was Nurbs based.